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We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Lipschitz continuity, semiconcavity and semiconvexity of the…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
The aim of this notes is to give a concise introduction to control theory for systems governed by stochastic partial differential equations. We shall mainly focus on controllability and optimal control problems for these systems. For the…
Problem of time-optimal control of linear systems with fractional dynamics is treated in the paper from the convex-analytic standpoint. A linear system of fractional differential equations involving Riemann--Liouville derivatives is…
We survey the main numerical techniques for finite-dimensional nonlinear optimal control. The chapter is written as a guide to practitioners who wish to get rapidly acquainted with the main numerical methods used to efficiently solve an…
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the…
This work concerns the optimal control problem for McKean-Vlasov SDEs. We provide explicit conditions to ensure the existence of optimal Markovian feedback controls. Moreover, based on the flow property of the McKean-Vlasov SDE, the dynamic…
The path-integral control, which stems from the stochastic Hamilton-Jacobi-Bellman equation, is one of the methods to control stochastic nonlinear systems. This paper gives a new insight into nonlinear stochastic optimal control problems…
In this paper we present a general framework that allows one to study discretization of certain dynamical systems. This generalizes earlier work on discretization of Lagrangian and Hamiltonian systems on tangent bundles and cotangent…
Stochastic optimal control control problems with merely measurable coefficients are not well understood. In this manuscript, we consider fully non-linear stochastic optimal control problems in infinite horizon with measurable coefficients…
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…
We establish existence of Markov chains of mean-field type with unbounded jump intensities by means of a fixed point argument using the Total Variation distance. We further show existence of nearly-optimal controls and, using a Markov chain…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
In this article we study ergodic problems in the whole space $\mathbb{R}^N$ for weakly coupled systems of viscous Hamilton-Jacobi equations with coercive right-hand sides. The Hamiltonians are assumed to have a fairly general structure and…
Autonomous systems often have logical constraints arising, for example, from safety, operational, or regulatory requirements. Such constraints can be expressed using temporal logic specifications. The system state is often partially…
This paper is about operator-theoretic methods for solving nonlinear stochastic optimal control problems to global optimality. These methods leverage on the convex duality between optimally controlled diffusion processes and…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…
This work addresses an optimal control problem constrained by a degenerate kinetic equation of parabolic-hyperbolic type. Using a hypocoercivity framework we establish the well-posedness of the problem and demonstrate that the optimal…